Anic Portfolio¶

Today¶

Return: -0.444 %¶

This Week¶

Return: -1.034 %¶

Total¶

Return: 56.027 %¶

Benchmark comparison TODAY¶

Benchmark comparison¶

OMXS30
DJUS
NDX
DAX
W1IDU

Excess return¶

OMXS30
DJUS
NDX
DAX
W1IDU

Anic Portfolio Holdings¶

  volume changePercent value profit profitPercent acquiredValue
name            
Beijer Electronics Group 26 -2.570000 3156.400000 185.400000 6.240000 2971.000006
HEBA B 70 -1.630000 2751.000000 115.000000 4.360000 2636.000010
Corem Property Group B 59 1.520000 667.880000 90.880000 15.750000 576.999999
Samhällsbyggnadsbo. i Norden B 20 1.930000 433.600000 78.600000 22.140000 355.000000
HMS Networks 2 -0.450000 712.400000 39.400000 5.850000 673.000000
Norva24 Group 16 -2.830000 559.680000 16.680000 3.070000 543.000000
Samhällsbyggnadsbo. i Norden D 12 2.630000 262.320000 16.320000 6.630000 246.000000
OEM International B 7 -1.020000 543.200000 15.200000 2.880000 527.999997
Coor Service Management Hold. 8 0.370000 546.400000 14.400000 2.710000 532.000000
Resurs Holding 22 0.680000 587.620000 13.620000 2.370000 573.999998
Midsona B 63 -1.670000 594.720000 11.720000 2.010000 582.999984
Intrum 4 0.110000 536.600000 9.600000 1.820000 527.000000
MedCap 2 -0.230000 429.000000 8.000000 1.900000 421.000000
Eastnine 4 -2.670000 496.000000 5.000000 1.020000 491.000000
Creaspac SPAC 6 0.620000 580.800000 3.800000 0.660000 577.000002
Handelsbanken A 5 -1.300000 549.750000 3.750000 0.690000 546.000000
AcadeMedia 12 0.780000 559.200000 2.200000 0.390000 557.000004
Karnov Group 9 1.020000 536.400000 0.400000 0.070000 536.000004
Fastighetsbolag. Emilshus Pref 21 -3.610000 560.700000 -1.300000 -0.230000 562.000005
Essity B 2 -1.450000 571.600000 -2.400000 -0.420000 574.000000
Securitas B 6 -0.130000 566.280000 -3.720000 -0.650000 570.000000
Swedbank A 3 -1.760000 560.100000 -3.900000 -0.690000 564.000000
Nordea Bank Abp 29 -1.250000 3447.520000 -6.480000 -0.190000 3453.999992
Essity A 4 -0.700000 1142.000000 -7.000000 -0.610000 1149.000000
CTEK 13 0.330000 514.800000 -19.200000 -3.600000 533.999999
FM Mattsson Mora Group B 50 -0.170000 2895.000000 -32.000000 -1.090000 2927.000000
Vivesto 1368 1.380000 561.150000 -51.850000 -8.460000 612.999432
Boozt 12 -2.500000 1590.000000 -64.000000 -3.870000 1653.999996
International Petroleum Corp. 5 2.150000 523.500000 -71.070000 -11.950000 594.565215
SAAB B 8 -0.480000 3284.000000 -93.000000 -2.750000 3377.000000
Sampo Oyj SDB 7 -0.930000 3741.500000 -108.500000 -2.820000 3850.000000
OX2 18 0.230000 1548.000000 -116.000000 -6.970000 1663.999992
Axfood 13 0.510000 3597.100000 -158.900000 -4.230000 3756.000001
Fasadgruppen Group 35 0.980000 3591.000000 -220.000000 -5.770000 3810.999990
Ovzon 52 1.370000 3068.000000 -294.000000 -8.740000 3361.999992
TOTAL 46265.220000 -623.350000 -1.99429% 46888.564618

Updated:¶

'2023-01-13 12:08:18.598099'
None

Last optimization/rebalancing:¶

'2022-12-04'

Next optimization/rebalancing:¶

'2023-01-13'

In or Out of market? In if Signal > -10, else out of market!¶

---------------------------------------------------------------------------
IndexError                                Traceback (most recent call last)
~\AppData\Local\Temp/ipykernel_14732/2152392845.py in <module>
      8     in_out = KER.mean(axis = 1).tail(150)
----> 9     if in_out.index[-1].date() < dt.today().date()-delta(days=1):
     10 

~\Anaconda3\envs\AnicTrading\lib\site-packages\pandas\core\indexes\base.py in __getitem__(self, key)
   4603             key = com.cast_scalar_indexer(key, warn_float=True)
-> 4604             return getitem(key)
   4605 

IndexError: index -1 is out of bounds for axis 0 with size 0

During handling of the above exception, another exception occurred:

IndexError                                Traceback (most recent call last)
~\AppData\Local\Temp/ipykernel_14732/2152392845.py in <module>
     39         list(px.line(df, x='Date', y='limit').select_traces())
     40     )
---> 41     fig['data'][1]['line']['color']='rgb(250, 50, 50)'
     42     fig['data'][0]['line']['width']=5
     43     fig.show()

IndexError: tuple index out of range

AVAN-Live vs backtest and OMXSE30 2023¶

Walk forward test results - depending on starting day¶

Equity is shown as log of returns. Returns range by a factor of 10. Best is about 10000%, 100 times money, and worst 1000%, 10 times money in 20 years. Maximal duration for drawdown periods vary between 280-750 days. Worst drawdown across the tests is about 40 %. ¶

Walk forward test results - Distribution of maximal drawdowns¶

Used to understand the strategys historical drawdown properties and to set the rule for when to stop trading the system. The stop limit is set to mean of max drawdown minus 2 standard deviations.¶